Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0154 |
| Annualized Std Dev | 0.1757 |
| Annualized Sharpe (Rf=0%) | -0.0874 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1857 |
| Quartile 1 | -0.0044 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0047 |
| Maximum | 0.1125 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0111 |
| Skewness | -1.4227 |
| Kurtosis | 31.6109 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0081 |
| Loss Deviation | 0.0100 |
| Downside Deviation (MAR=210%) | 0.0130 |
| Downside Deviation (Rf=0%) | 0.0083 |
| Downside Deviation (0%) | 0.0083 |
| Maximum Drawdown | 0.7110 |
| Historical VaR (95%) | -0.0140 |
| Historical ES (95%) | -0.0265 |
| Modified VaR (95%) | -0.0152 |
| Modified ES (95%) | -0.0152 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-08-27 | 2008-12-15 | NA | -0.7110 | 5426 | 2340 | NA |
| 1999-01-06 | 1999-04-19 | 1999-06-21 | -0.0573 | 115 | 71 | 44 |
| 1999-08-10 | 1999-08-10 | 1999-08-24 | -0.0188 | 11 | 1 | 10 |
| 1999-07-01 | 1999-07-02 | 1999-07-06 | -0.0125 | 3 | 2 | 1 |
| 1999-06-24 | 1999-06-24 | 1999-06-25 | -0.0063 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.7 | 0.7 | 0.7 | 0 | -0.6 | -0.6 | 0.6 | -0.6 | 0.6 | -0.6 | -0.6 | 2 | 2.1 |
| 2000 | 0 | 0 | 0 | 2.1 | 0 | 1.4 | 0.7 | 0 | -0.7 | -0.7 | 1.4 | -1.5 | 2.7 |
| 2001 | -1.3 | 1 | -0.3 | 0.3 | -0.7 | 0.9 | -0.2 | 0 | -3.6 | 1.7 | 0.8 | 0.8 | -0.8 |
| 2002 | 0 | 0 | 0.7 | 0.9 | 0 | -2.6 | 1.1 | 1.3 | -0.8 | -1.1 | 0.4 | 2.5 | 2.3 |
| 2003 | 0.1 | -0.9 | 0.1 | 0.1 | 1.4 | 0.9 | 0.7 | -0.3 | 1.1 | 0.3 | 0.2 | 0.4 | 4.3 |
| 2004 | 0.5 | -0.8 | 0.2 | 2.1 | 0.5 | -0.6 | 0.6 | 0.3 | -0.2 | 0.1 | -0.8 | 0.9 | 2.9 |
| 2005 | 0 | 0 | -0.2 | 0.6 | 0.4 | 1.4 | 0.6 | -0.4 | 1.4 | 1.1 | -0.1 | 0.1 | 5 |
| 2006 | 0 | -0.4 | -0.2 | 0.4 | 0.1 | 0.4 | 0.1 | 0.4 | 0.1 | 0 | 0.1 | 0.1 | 1.1 |
| 2007 | 0.6 | -0.7 | 0.2 | 0.3 | 0.2 | 0 | -1.1 | 1.4 | 0.5 | -1.8 | 2.7 | -0.7 | 1.7 |
| 2008 | 0 | -0.1 | 0.2 | 0.3 | -0.6 | 0.3 | 1.3 | -0.3 | 2.4 | 2.8 | -0.7 | 4.3 | 10.1 |
| 2009 | 0.5 | -1.4 | 1.4 | 0.2 | 0.4 | 1.5 | 0.6 | 0.4 | 0.2 | -1.2 | 0.9 | -0.2 | 3.4 |
| 2010 | -0.6 | 1.4 | 0.1 | -0.1 | 0.9 | -0.9 | 1 | -0.9 | 1.6 | 0.4 | 1.1 | -0.4 | 3.7 |
| 2011 | 0.7 | 1.9 | 1.8 | 0.1 | 1.6 | 1 | 1.3 | 2.2 | -1.4 | -1.2 | -0.9 | 1.1 | 8.3 |
| 2012 | 0.6 | 1.3 | 0.7 | 0.6 | -1 | 0.4 | 0 | -0.7 | 0.8 | 2 | -0.7 | -1 | 2.9 |
| 2013 | 0.5 | 1.4 | 0 | 0.9 | -1.2 | -1.3 | -1.2 | -1.1 | 0 | -0.7 | 0.9 | -1.1 | -3 |
| 2014 | 0 | 0.4 | -0.3 | -0.9 | 0.3 | -0.1 | -0.3 | 0.2 | 0.2 | 0.3 | 0 | 0.5 | 0.2 |
| 2015 | 0.3 | -0.2 | -0.2 | 0 | 0 | 0.3 | 0 | -0.2 | 0 | 0.2 | -0.7 | -0.3 | -0.7 |
| 2016 | 0.4 | 1.5 | 0.3 | 0 | 0.2 | 0.8 | -0.3 | -0.6 | 1.1 | -0.9 | 0.3 | 0.6 | 3.3 |
| 2017 | 0.1 | 0.4 | 0 | 0.3 | 0.1 | 0.9 | 0.9 | 0 | 0.6 | -0.3 | 0 | -0.3 | 2.9 |
| 2018 | 0 | 0.2 | 0.1 | 1 | 0 | -0.5 | 0 | -0.3 | 0.5 | 0.8 | 0.2 | 0.7 | 2.6 |
| 2019 | 0.5 | -0.2 | 0.3 | 0.5 | -1.3 | 0.3 | -0.3 | 0 | 0 | -0.2 | 0 | 0.8 | 0.5 |
| 2020 | -0.6 | -2.4 | -2.4 | -0.6 | 1.5 | 0.8 | 0.5 | 0.9 | 0.3 | -0.5 | 1.3 | 0.2 | -1.2 |
| 2021 | 0.2 | 0.5 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
